Send a sequence of raw ITCH-5.x messages as MoldUDP64 packets, trying to match the original time interval between messages. More...

#include <mold_udp_pacer.hpp>

Public Types
Type traits
typedef clock_type::time_point	time_point
	The time point (specific time with respect to some epoch) type. More...

typedef clock_type::duration	duration
	The duration (the difference between two time points) type. More...

typedef mold_udp_pacer_config	config
	The configuration file. More...

typedef jb::itch5::short_string_field< mold_udp_protocol::session_id_size >	session_id_type
	The type used to represent session ids. More...

Public Member Functions
	mold_udp_pacer (config const &cfg=config(), session_id_type const &session_id=session_id_type())
	Initialize a MoldUDP pacer object. More...

template<typename message_sink_type , typename sleep_functor_type >
void	handle_message (time_point ts, unknown_message const &msg, message_sink_type &sink, sleep_functor_type &sleeper)
	Process a raw ITCH-5.x message. More...

template<typename message_sink_type >
void	flush (timestamp ts, message_sink_type &sink)
	Flush the current messages, if any. More...

template<typename message_sink_type >
void	heartbeat (message_sink_type &sink)
	Send a heartbeat packet. More...

Private Member Functions
template<typename message_sink_type >
void	coalesce (time_point recv_ts, unknown_message const &msg, timestamp ts, message_sink_type &sink)
	Add another message to the current queue, flushing first if necessary. More...

void	fillup_header_fields ()
	Fill up the header for the MoldUDP64 packet. More...

template<typename message_sink_type >
void	flush_impl (timestamp ts, message_sink_type &sink)
	Implement the flush() and hearbeat() member functions. More...

bool	packet_full (std::uint16_t block_size) const
	Return true if the packet is too full to accept a new block of size block_size. More...

Private Attributes
jb::itch5::timestamp	last_send_

duration	max_delay_

int	mtu_

char	rawbuf [rawbufsize] = {0}

boost::asio::mutable_buffer	packet_

std::size_t	packet_size_

std::uint32_t	first_block_

timestamp	first_block_ts_

std::uint16_t	block_count_

Static Private Attributes
static constexpr std::size_t	rawbufsize = 65536

Detailed Description

template<typename clock_type = std::chrono::steady_clock>
class jb::itch5::mold_udp_pacer< clock_type >

Send a sequence of raw ITCH-5.x messages as MoldUDP64 packets, trying to match the original time interval between messages.

The MoldUDP64 protocol (see link below) allows transmission of ITCH-5.x messages over UDP. Multiple ITCH-5.x messages are packed into a single MoldUDP64 packet, which includes enough information to request retransmissions if needed.

This class receives a stream of raw ITCH-5.x messages and creates a stream of MoldUDP64 packets. It examines the original timestamps of the raw ITCH-5.x messages to pace the outgoing stream. When the original messages are sufficiently close in time they are assembled into a single large packet. If the messages are separated in time the class blocks until enough wall-clock time has elapsed.

Template Parameters

clock_type a dependency injection point to make this class testable. Normally the class is simply used with a std::chrono::steady_clock. Under test, it is convenient to be able to modify the results of the clock_type::now() function to exercise multiple scenarios.

References: http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/moldudp64.pdf

Definition at line 43 of file mold_udp_pacer.hpp.

Member Typedef Documentation

◆ config

template<typename clock_type = std::chrono::steady_clock>

typedef mold_udp_pacer_config jb::itch5::mold_udp_pacer< clock_type >::config

The configuration file.

Definition at line 56 of file mold_udp_pacer.hpp.

◆ duration

template<typename clock_type = std::chrono::steady_clock>

typedef clock_type::duration jb::itch5::mold_udp_pacer< clock_type >::duration

The duration (the difference between two time points) type.

Definition at line 53 of file mold_udp_pacer.hpp.

◆ session_id_type

template<typename clock_type = std::chrono::steady_clock>

typedef jb::itch5::short_string_field<mold_udp_protocol::session_id_size> jb::itch5::mold_udp_pacer< clock_type >::session_id_type

The type used to represent session ids.

The MoldUDP64 protocol uses a 10-character identifier for the session id, different streams can be distinguished using this field in the protocol.

Definition at line 66 of file mold_udp_pacer.hpp.

◆ time_point

template<typename clock_type = std::chrono::steady_clock>

typedef clock_type::time_point jb::itch5::mold_udp_pacer< clock_type >::time_point

The time point (specific time with respect to some epoch) type.

Definition at line 50 of file mold_udp_pacer.hpp.

Constructor & Destructor Documentation

◆ mold_udp_pacer()

template<typename clock_type = std::chrono::steady_clock>

jb::itch5::mold_udp_pacer< clock_type >::mold_udp_pacer	(	config const &	cfg = `config()`,
		session_id_type const &	session_id = `session_id_type()`
	)

inline

Initialize a MoldUDP pacer object.

Definition at line 72 of file mold_udp_pacer.hpp.

Member Function Documentation

◆ coalesce()

template<typename clock_type = std::chrono::steady_clock>

template<typename message_sink_type >

void jb::itch5::mold_udp_pacer< clock_type >::coalesce	(	time_point	recv_ts,
		unknown_message const &	msg,
		timestamp	ts,
		message_sink_type &	sink
	)

inlineprivate

Add another message to the current queue, flushing first if necessary.

Parameters

recv_ts	the timestamp when the message was received
msg	the message contents and location
ts	the timestamp when the last message was sent
sink	the destination for the MoldUDP64 packets

Definition at line 173 of file mold_udp_pacer.hpp.

Referenced by jb::itch5::mold_udp_pacer< clock_type >::handle_message().

◆ fillup_header_fields()

template<typename clock_type = std::chrono::steady_clock>

void jb::itch5::mold_udp_pacer< clock_type >::fillup_header_fields ( )

inlineprivate

Fill up the header for the MoldUDP64 packet.

Definition at line 209 of file mold_udp_pacer.hpp.

References jb::itch5::mold_udp_pacer< clock_type >::block_count_, jb::itch5::mold_udp_protocol::block_count_offset, jb::itch5::mold_udp_pacer< clock_type >::first_block_, jb::itch5::mold_udp_pacer< clock_type >::packet_, jb::itch5::mold_udp_protocol::sequence_number_offset, and jb::itch5::encoder< validate, T >::w().

Referenced by jb::itch5::mold_udp_pacer< clock_type >::flush_impl().

◆ flush()

template<typename clock_type = std::chrono::steady_clock>

template<typename message_sink_type >

void jb::itch5::mold_udp_pacer< clock_type >::flush	(	timestamp	ts,
		message_sink_type &	sink
	)

inline

Flush the current messages, if any.

Parameters

ts	the wall clock time when the message was received
sink	the destination for the MoldUDP64 packets

Template Parameters

message_sink_type please see handle_message() for details

Definition at line 140 of file mold_udp_pacer.hpp.

References jb::itch5::mold_udp_pacer< clock_type >::block_count_, and jb::itch5::mold_udp_pacer< clock_type >::flush_impl().

Referenced by BOOST_AUTO_TEST_CASE(), jb::itch5::mold_udp_pacer< clock_type >::coalesce(), and jb::itch5::mold_udp_pacer< clock_type >::handle_message().

◆ flush_impl()

template<typename clock_type = std::chrono::steady_clock>

template<typename message_sink_type >

void jb::itch5::mold_udp_pacer< clock_type >::flush_impl	(	timestamp	ts,
		message_sink_type &	sink
	)

inlineprivate

Implement the flush() and hearbeat() member functions.

Definition at line 230 of file mold_udp_pacer.hpp.

References jb::itch5::mold_udp_pacer< clock_type >::block_count_, jb::itch5::mold_udp_pacer< clock_type >::fillup_header_fields(), jb::itch5::mold_udp_pacer< clock_type >::first_block_, jb::itch5::mold_udp_protocol::header_size, jb::itch5::mold_udp_pacer< clock_type >::last_send_, jb::itch5::mold_udp_pacer< clock_type >::packet_, and jb::itch5::mold_udp_pacer< clock_type >::packet_size_.

Referenced by jb::itch5::mold_udp_pacer< clock_type >::flush(), and jb::itch5::mold_udp_pacer< clock_type >::heartbeat().

◆ handle_message()

template<typename clock_type = std::chrono::steady_clock>

template<typename message_sink_type , typename sleep_functor_type >

void jb::itch5::mold_udp_pacer< clock_type >::handle_message	(	time_point	ts,
		unknown_message const &	msg,
		message_sink_type &	sink,
		sleep_functor_type &	sleeper
	)

inline

Process a raw ITCH-5.x message.

Parameters

ts	the wall-clock when the message was received, as defined by clock_type
msg	the message received, the timestamp in the message is used to pace the outgoing MoldUDP64 packets
sink	a functor to send the MoldUDP64 packets
sleeper	a functor to sleep and effectively pace the messages

Template Parameters

message_sink_type	the type of the sink functor. The signature must be compatible with void(auto buffers) where buffers meets the requirements of a Boost.Asio ConstBufferSequence.
sleep_functor_type	the type of the sleeper function, the signature must be compatible with void(clock_type::duration const&)

Definition at line 105 of file mold_udp_pacer.hpp.

References jb::itch5::mold_udp_pacer< clock_type >::coalesce(), jb::itch5::unknown_message::count(), jb::itch5::unknown_message::decode_header(), jb::itch5::mold_udp_pacer< clock_type >::flush(), jb::itch5::mold_udp_pacer< clock_type >::last_send_, jb::itch5::mold_udp_pacer< clock_type >::max_delay_, jb::itch5::message_header::timestamp, and jb::itch5::timestamp::ts.

Referenced by BOOST_AUTO_TEST_CASE().